Okay I'm puzzled and been trying to solve this for days. I'm almost giving up on having Ubuntu.
I've used Zorin will no problems, full install on USB. Boots up fine no issues. But I'm trying to install Ubuntu on the same USB stick. Exact same options under the installer. Mount point, bootloader location etc.
However it will not boot with Ubuntu full install. I've tried disabling UEFI boot in BIOS, changed boot priorities and so on. I know the stick boots as Zorin has no issues. I didn't even disable UEFI boot in BIOS and Zorin boots up fine.